UDN vs. ED
UDN (Invesco DB US Dollar Index Bearish Fund) is Currency fund tracking the Deutsche Bank Short USD Currency Portfolio Index, while ED (Consolidated Edison, Inc.) is a stock. Over the past 10 years, UDN returned -0.45%/yr vs 7.09%/yr for ED. At a 0.12 correlation, their price movements are largely independent.
Performance
UDN vs. ED - Performance Comparison
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Returns By Period
In the year-to-date period, UDN achieves a -2.36% return, which is significantly lower than ED's 11.28% return. Over the past 10 years, UDN has underperformed ED with an annualized return of -0.45%, while ED has yielded a comparatively higher 7.09% annualized return.
UDN
- 1D
- -0.34%
- 1M
- -2.04%
- YTD
- -2.36%
- 6M
- -2.68%
- 1Y
- -1.37%
- 3Y*
- 2.64%
- 5Y*
- -0.72%
- 10Y*
- -0.45%
ED
- 1D
- 1.71%
- 1M
- 0.19%
- YTD
- 11.28%
- 6M
- 11.69%
- 1Y
- 11.09%
- 3Y*
- 9.93%
- 5Y*
- 12.02%
- 10Y*
- 7.09%
UDN vs. ED - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
UDN Invesco DB US Dollar Index Bearish Fund | -2.36% | 12.37% | -4.53% | 4.88% | -7.96% | -7.03% | 6.20% | -0.97% | -5.02% | 9.50% |
ED Consolidated Edison, Inc. | 11.28% | 15.15% | 1.55% | -1.12% | 15.65% | 22.96% | -16.99% | 22.54% | -6.62% | 19.30% |
Correlation
The correlation between UDN and ED is 0.03, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.03 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.12 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.14 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.09 |
Correlation (All Time) Calculated using the full available price history since Mar 1, 2007 | 0.12 |
The correlation between UDN and ED shifts across timeframes, from 0.03 (1 year) to 0.14 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
UDN vs. ED — Risk / Return Rank
UDN
ED
UDN vs. ED - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco DB US Dollar Index Bearish Fund (UDN) and Consolidated Edison, Inc. (ED). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| UDN | ED | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.90 | ||
| Sortino ratioReturn per unit of downside risk | -1.32 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 1.12 | -0.15 |
| Calmar ratioReturn relative to maximum drawdown | -0.28 | 1.16 | -1.44 |
| Martin ratioReturn relative to average drawdown | -0.60 | 2.44 | -3.04 |
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Drawdowns
UDN vs. ED - Drawdown Comparison
The maximum UDN drawdown since its inception was -41.67%, smaller than the maximum ED drawdown of -78.90%. Use the drawdown chart below to compare losses from any high point for UDN and ED.
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Drawdown Indicators
| UDN | ED | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.67% | -78.90% | +37.23% |
Max Drawdown (1Y)Largest decline over 1 year | -4.91% | -9.63% | +4.72% |
Max Drawdown (3Y)Largest decline over 3 years | -8.59% | -17.36% | +8.77% |
Max Drawdown (5Y)Largest decline over 5 years | -20.82% | -22.03% | +1.21% |
Max Drawdown (10Y)Largest decline over 10 years | -25.72% | -30.91% | +5.19% |
Current DrawdownCurrent decline from peak | -28.97% | -5.02% | -23.95% |
Average DrawdownAverage peak-to-trough decline | -20.63% | -13.24% | -7.39% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.28% | 4.57% | -2.29% |
Volatility
UDN vs. ED - Volatility Comparison
The current volatility for Invesco DB US Dollar Index Bearish Fund (UDN) is 1.37%, while Consolidated Edison, Inc. (ED) has a volatility of 5.47%. This indicates that UDN experiences smaller price fluctuations and is considered to be less risky than ED based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| UDN | ED | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.37% | 5.47% | -4.10% |
Volatility (6M)Calculated over the trailing 6-month period | 4.34% | 12.13% | -7.79% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.05% | 16.60% | -10.55% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.41% | 18.76% | -11.35% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.86% | 21.02% | -14.16% |
Dividends
UDN vs. ED - Dividend Comparison
UDN's dividend yield for the trailing twelve months is around 3.01%, less than ED's 3.20% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ED Consolidated Edison, Inc. | 3.20% | 3.42% | 3.72% | 3.56% | 3.32% | 3.63% | 4.23% | 3.27% | 3.74% | 3.25% | 3.64% | 4.05% |
UDN Invesco DB US Dollar Index Bearish Fund | 3.01% | 2.94% | 5.33% | 5.21% | 0.69% | 0.00% | 0.00% | 1.38% | 1.26% | 0.11% | 0.00% | 0.00% |
Frequently Asked Questions
UDN and ED have a correlation of 0.03, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ED has higher volatility (5.47%) compared to UDN (1.37%). In terms of maximum drawdown, UDN dropped -41.67% vs ED's -78.90%.
ED currently has the higher Sharpe Ratio (0.67 vs -0.23), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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